SUMMARY

• Seasoned quantitative Capital Markets practitioner with experience in Trading & Risk Management, Data analysis, regulatory requirements, and IT implementation across all asset classes for Top Tier Investment Banks. In - depth knowledge financial modeling, model validation, derivatives products, hands-on application development
• Executed Model development, implementation and validation activities across the organization in alignment with the Regulatory Guidance SR-11-7.
• Managed model implementation and validation regulatory approval projects for market risk, credit risk, liquidity risk, counterparty.
• Experience with model re-engineering and testing techniques such as regression, back testing, replication..
• Extensive knowledge of pricing and valuation of OTC and exchange traded derivatives, Risk Management methodologies and Risk metrics in Credit risk, Market Risk, Liquidity Risk, Stress Tests, Scenario Analysis.
• Conducted validation / internal review on a variety of models in alignment with the Bank’s MRM Policy & Standards. Reviewed on-going model performance and model health.
• Worked with Model Owners to re-engineer and implement financial models and prototypes. Created business requirements and provided technical guidance during the implementation stages.
• Experienced in in-house and vendors' Trading / Risk system development, implementation and setup for use by Front office, Risk and Middle office (Murex, OpenLink, Confidential, Polypoth, Summit etc). Built pricing curves, volatility surfaces, risk reports, and reference and market data mapping,
• Experience in design, documentation, implementation, validation risk management frameworks to support derivatives products: Mark-To-Market, Position, Trade P&L, Hypo P&L, Greeks, Risk P&L decomposition, Stress Tests, VaR, SVaR, Credit VaR, Scenario Analysis, Volatility matrices, Liquidity & Collateral management, stress tests, scenario analysis for derivative products in FX, Rates, Credit, Repo, MBS, Structured Products.
• Assisted in efforts to ensure a successful transition from iBOR / LIBOR to other risk free rates SOFR development new yield curves and calibration of risk engine.
• Effectively communicate complex business requirements across different stakeholders and IT. Led IT developers through challenging business processes during implementation phases of projects.
• Hands-on database design, rapid development RAD, building prototypes, system design and process reengineering utilizing SQL, OLAP / CUBE, SQL Server, Oracle, MySQL, VBA, R, SAS, Python, Bloomberg, MarkIT, Reuters, analytical libraries, etc.
• Excellent understanding of SDLC, Waterfall and Agile methodologies, testing frameworks, and risk systems development and rollout process, and Data Analysis. Broad expertise creating project documentation and artifacts, BRD, FRD, solution requirements, SRD, Use Cases, user's stories, test plans, SADD, UML, etc.

TECHNICAL SKILLS

• Project Management / Business Analysis: PMI-PBA, Experienced in SDLC. Waterfall and Agile methodologies. Scrum, XP - Extreme Programming, Managed business analysis, IT implementation, testing and rollout of trading and risk systems. Created BRD, FRD, project artifacts, SRD, SADD, UML, Data Analysis, Use Cases, user stories, test plans, Jira.
• Projects: Basel 2.5, Basel 3, Basel 4, FRTB, VaR, Stress VaR, Stress Test, Expected Shortfall, Incremental Risk Charge IRC, P&L, Mark-to-Market, volatility matrix, correlation, Liquidity test, iBor transition, Counterparty risk.Trading and Risk system development, implementation, Market risk management, credit risk management.
• Financial Derivatives Products: Foreign Exchange, FX, Fixed Income, Rates, Interest Rate, Credit Derivatives, Agency MBS, mortgate back securities, private placement, RMBS, TBA, CMO, CDO, CDS, Credit Default swaps, CDS Index, Credit default swaptions, FX swaps, cross currency swaps, CMBS, Repo, Power and Energy ( Oil, Gas, Electricity ), Spark Spread, Crack Spread, Base Metals, Precious Metals, Basis Swaps, Forwards, Futures, vanilla and exotic options, caps / floors, swaptions, Asian options, Barrier options, digital options, etc.

PROFESSIONAL EXPERIENCE

Confidential, New York, NY

Risk management LEAD BA

Responsibilities:

• Implemented complex risk management regulatory projects as part of Basel 2.5, Basel 3, Basel 4, FRTB, MRA letters, SR-11-7, SR-12-7, BCBS 239, etc.
• Managed the documentation of VaR methodology approval processes by Federal Reserve Bank.
• Led regulatory requirements implementation for VaR, Expected Shortfall, Stressed VaR, risk decomposition into General Market risk and Specific Risk as part of Standardized and Internal Model approaches.
• Analyzed risk factors, risk sensitivities, Non-Modellable risk factors of derivative products in trading books.. Managed the inventory of risk models and risk factors.
• Involved in IRC & RWA calculation projects and Basel 3 / FRTB requirements implementation (e.g. IRC framework to capture Equity default risk)
• Led the project of model approval for General Market Risk (Interest Rate, Commodity, FX, Credit, Securitized Products) and Specific Risk (Equity, Credit).
• Implemented regulatory P-value calculation methodology as part of backtesting framework. Coordinated the design and implementation of new global back testing framework.
• Worked at all project lifecycle stages: analysis of requirements, business requirements documentation, IT implementation, testing and rollout.
• Managed the group of Business Analysts.

Confidential, New York, NY

Risk management senior BA

Responsibilities:

• Led the projects to improve VaR framework for Agency and Non Agency MBS, CLO, ABS, CMBS as part of regulatory requirements.
• Implemented VaR, Stressed VaR, Specific Risk methodology enhancements for Agency MBS business by defining risk factors and risk sensitivities: partial duration / convexity / volatility, OAS.
• Documented & successfully implemented VaR methodology for Non Agency MBS and structured products. Defined risk factors and sensitivities, CS01, bond proxies, credit migration algorithm, reference indices structure and mapping algorithm.
• Re-engineered & implemented Greeks P&L decomposition calculation optimization for MBS hedges.
• Streamlined Counterparty limits and collateral margining by legal entity
• Monitored the progress of ongoing projects on behave of Stakeholders and coordinated the implementation with Risk IT.
• Developed BRD, FRD, Software Requirements Specification (SRS), Architecture Design Document (SADD), Use cases, UML.

Confidential, New York, NY

FX risk management project lead

Responsibilities:

• Led the models validation of 3d party Risk Management system, improved existing infrastructure and real time risk management reporting for Global Foreign Exchange / FX business.
• Validated VaR model, MTM and trade P&L calculations, VaR backtesting. Setup reference data, constructed co-variance matrix, yield curves, etc.
• Defined and implemented risk framework, stressed tests & portfolio concentration analysis.
• Facilitated change request process between business and technology to improve existing infrastructure.

Confidential, CT

Risk Management PM

Responsibilities:

• Managed various project to improve Market Risk methodologies, risk reporting for Global Market Risk Management:
• Credit Spread VaR - Improvement methodology.
• Marginal VaR for Rates and Credits - application Implementation and setup.
• Trading Limits Monitoring - Designed and implemented new application.
• Market Risk Reporting - defined the structure and data workflow for Global Reports.

Confidential, New York, NY

Manager, Risk Management commodities product development

Responsibilities:

• Led projects to develop new products and risk manage OTC and Exchange traded Derivative in Power, Gas, Oil, Base / Precious metals, FX markets.
• Defined methodologies for risk management and trade’s life cycle: pricing, trade capture, valuation, constructed volatility matrix, yield curves and analytical tools. Built risk metrics, VaR, risk reports.
• Responsible for Software development Life cycle (SDLC) implementation of traded derivative products: Futures, Forwards, Look-a-like, Average/ Basis Swaps, TAPO, Vanilla and Exotic Options, Lease rates.
• Managed the team of Global Product Specialists.

Confidential, New York, NY

Commodities business analyst

Responsibilities:

• Worked on high level strategic initiatives for Front / Middle Office, Market / Credit Risk in Gas, Oil, Electricity, and FX Businesses.
• Executed the integration of Front-To-Back Trading / Risk Management Systems and set up FO/MO/BO infrastructure. Murex and OpenLink. Oversaw numerous projects front -to- back during the expansion of Electricity, Gas, Oil, Metals desks.
• Defined and built vol matrixes, pricing curves, P&L attribution, risk decomposition model using Murex, OpenLink, MySQL, Excel, Access, VB/VBA for FX Options desk to monitor FX exposure and standardize different type of risk (Delta, Gamma, Vega, Vanna, Volga, etc) across FX, Energy and Power desks.